United States (US)
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Experts urge OCC to include climate risk in bank exams
Regulator’s proposed principles are step in the right direction, but still behind Europe
People moves: Ice rings changes, new CFTC appointees, and more
Latest job changes across the industry
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
Smaller US banks make case for credit-sensitive rates
BSBY and Ameribor emerge as preferred Libor successors for some regional lenders in multi-rate approach
Back in the New York groove: BNY CRO’s risk revamp
Veteran risk manager and former trader on “intelligent” risk-taking
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Don’t apply OTC equity rules to bonds, says SEC’s Peirce
Republican commissioner warns proposed transparency rule could deter electronic trading of bonds
Interest rate swap activity surges ahead of Fed tightening
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Mizuho’s F&O clearing unit boosts client margin by $1.05bn
In contrast, Morgan Stanley reports largest drop over same period
Pimco, Capital Group lead expansion of index CDS market
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
JP Morgan flies into top FX options spot
Counterparty Radar: Renminbi/US dollar trades also keep Morgan Stanley IM in front
Rising inflation may spare smaller middle-market lenders
PennantPark bets that picking the right entrepreneur can protect private credit from rising prices
Morgan Stanley on heels of Goldman in Q3 CDS data
Counterparty Radar: Sold protection, corporate names fuel growth in US funds’ single-name books